The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes

By Sangyeol Lee, Siyun Park. 2001

130 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1d53d297194b17751f5e762c6d90f9d0feed99f0

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In Statistics and Probability

Citations in the corpus

THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS (2008, methodology): “Lee and Park (2001) considered a test similar to the CUSQ∗ and derived its limit distribution when the data are assumed to follow a zero mean linear process (a similar result in a more general setup is presented in Lee et al., 2003). Koksozka and Leipus (2000) dealt with a zero mean series with ARCH”
Covariance changes detection in multivariate time series (2007, background): “Park et al. (2000) and Lee and Park (2001) extended the Inclán and Tiao approach to autoregressive and moving average models, respectively.”
The Cusum Test for Parameter Change in Time Series Models (2003, background): “…the time series context as economic time series often exhibit prominent evidence for structural change in the underlying model; see, for example, Wichern et al. (1976), Picard (1985), Krämer et al. (1988), Tang & MacNeil (1993), Kim et al. (2000), Lee & Park (2001), and the papers cited therein.”
Detection of Multiple Structural Breaks in Multivariate Time Series (2013, background): “These results were generalized by Lee and Park (2001) to linear processes.”
Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2008, background): “…in the variances of time series models have been studied by Abraham and Wei (1984), Baufays and Rasson (1985); Tsay (1988); Park et al. (2000); Lee and Park (2001); de Pooter and van Dijk (2004) and Galeano and Peña (2004).1 However, in practice the pattern of variance changes over time,…”
Extensions of some classical methods in change point analysis (2014, methodology): “The CUSUM method was also applied to detect changes in variances as in Gombay et al. (1996), Inclán and Tiao (1994) and Lee and Park (2001).”
Structural breaks in time series (2013, background): “Lee and Park (2001) showed how Inclán and Tiao’s (1994) test can be applied to linear processes by computing the appropriate scaling.”
Testing for changes in the covariance structure of linear processes (2009, methodology): “For surveys we refer to Csörg o and Horváth (1997), Banerjee and Urga (2005) and Perron (2006). Several authors studied tests for the stability of the mean H0,mean : EX1 = EX2 = · · · = EXn against the one change alternative HA,mean : there is 1 < k∗ <n such that EX1 = EX2 = · · · = EXk∗ EXk∗+1 = · ”
The Cusum Test for Parameter Change in Regression Models with ARCH Errors (2004, background): “For relevant references, we refer to Wichern et al. (1976), Picard (1985), Incl´ an and Tiao (1994), Mikosch and St˘ aric˘ a (1999), Lee and Park (2001) , Lee et al. (2003a, b) and the papers cited in those articles.”
On the Cusum test for parameter changes in garch(1,1) Models (2000, background): “Also, we can easily verify that b?2 P ! ?2. Hence, it follows from ( 9 ) and (10) that c”
Volatility transmission between gold and oil futures under structural breaks (2013, methodology): “Fortunately, a nonparametric adjustment can be made to the IT statistic which makes it appropriate for a dependent process like GARCH (Lee and Park, 2001; Sanso, Arrago and Carrionet, 2004).”